Details about Thomas C. Chiang

Access statistics for papers by Thomas C. Chiang.

Last updated 2008-07-05. Update your information in the RePEc Author Service.

Short-id: pch293

Working Papers

2005

1. Phase Distribution and Phase Correlation of Financial Time Series
   Finance, EconWPA

Journal Articles

2007

1. Dynamic correlation analysis of financial contagion: Evidence from Asian markets
   Journal of International Money and Finance, 2007, 26, (7), 1206-1228 View citations

2006

2. Country-fund discounts and risk: Evidence from stock market volatility and macroeconomic volatility
   Journal of Economics and Business, 2006, 58, (4), 303-322

2005

3. International Asset Excess Returns and Multivariate Conditional Volatilities
   Review of Quantitative Finance and Accounting, 2005, 24, (3), 295-312

2003

4. Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model
   Journal of Economics and Business, 2003, 55, (5-6), 487-502

2001

5. Empirical Analysis of Stock Returns and Volatility: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model
   Review of Quantitative Finance and Accounting, 2001, 17, (3), 301-18 View citations

2000

6. Do Foreign Exchange Risk Premiums Relate to the Volatility in the Foreign Exchange and Equity Markets?
   Applied Financial Economics, 2000, 10, (1), 95-104 View citations
7. Short-term eurocurrency rate behavior and specifications of cointegrating processes
   International Review of Economics & Finance, 2000, 9, (2), 157-179

1999

8. On the Nonlinear Specifications of Short-Term Interest Rate Behavior: Evidence from Euro-Currency Markets
   Review of Quantitative Finance and Accounting, 1999, 12, (4), 351-70 View citations
9. Retrieving the vanishing liquidity effect--a threshold vector autoregressive model
   Journal of Economics and Business, 1999, 51, (3), 259-277 View citations

1997

10. RISK AND INTERNATIONAL PARITY CONDITIONS: A SYNTHESIS FROM CONSUMPTION-BASED MODELS
    International Economic Journal, 1997, 11, (2), 73-101
11. Time series dynamics of short-term interest rates: evidence from Eurocurrency markets
    Journal of International Financial Markets, Institutions and Money, 1997, 7, (3), 201-220

1996

12. Dynamic Analysis of Stock Return Volatility in an Integrated International Capital Market
    Review of Quantitative Finance and Accounting, 1996, 6, (1), 5-17

1995

13. Emperical analysis of short-term eurocurrency rates: Evidence from a transfer function error correction model
    Journal of Economics and Business, 1995, 47, (4), 335-351
14. Foreign exchange returns over short and long horizons
    International Review of Economics & Finance, 1995, 4, (3), 267-282

1993

15. An Empirical Analysis of the Expert Expectations Hypothesis in the U.S. Treasury Bill Market
    Applied Financial Economics, 1993, 3, (4), 329-34

1991

16. A system of stock prices in world stock exchanges: Common stochastic trends for 1975-1990
    Journal of Economics and Business, 1991, 43, (4), 329-338
17. International asset pricing and equity market risk
    Journal of International Money and Finance, 1991, 10, (3), 349-364 View citations

1988

18. Forward rate, spot rate and risk premium: An empirical analysis
    Review of World Economics (Weltwirtschaftliches Archiv), 1988, 124, (1), 74-88
19. The Forward Rate as a Predictor of the Future Spot Rate--A Stochastic Coefficient Approach
    Journal of Money, Credit and Banking, 1988, 20, (2), 212-32 View citations

1986

20. On the Predictors of the Future Spot Rates--A Multi-currency Analysis
    The Financial Review, 1986, 21, (1), 69-83